Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0516 |
| Annualized Std Dev | 0.2643 |
| Annualized Sharpe (Rf=0%) | 0.1951 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3167.0000 |
| NAs | 1.0000 |
| Minimum | -0.1154 |
| Quartile 1 | -0.0071 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0078 |
| Maximum | 0.1674 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0166 |
| Skewness | 0.2895 |
| Kurtosis | 11.9499 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0126 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.4937 |
| Historical VaR (95%) | -0.0233 |
| Historical ES (95%) | -0.0392 |
| Modified VaR (95%) | -0.0216 |
| Modified ES (95%) | -0.0216 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-08-18 | 2008-11-20 | 2009-07-20 | -0.4937 | 230 | 66 | 164 |
| 2018-01-29 | 2020-03-23 | 2020-11-05 | -0.3556 | 700 | 541 | 159 |
| 2015-04-28 | 2016-01-20 | 2017-07-14 | -0.3265 | 559 | 185 | 374 |
| 2010-11-08 | 2011-10-03 | 2014-07-28 | -0.3081 | 935 | 228 | 707 |
| 2010-04-15 | 2010-05-20 | 2010-09-24 | -0.1557 | 114 | 26 | 88 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | -0.7 | 2.3 | 3.1 | -7.7 | 1 | -2.3 |
| 2009 | -1.5 | -1.1 | 3.5 | 0.8 | 4 | 2.7 | 1 | -1.7 | -3 | -3.8 | 2.3 | -0.1 | 3 |
| 2010 | 1.9 | 1.6 | 2.3 | -1.2 | -2.7 | 0.2 | 0.3 | 2.8 | 1.7 | 1 | 2.8 | 0.2 | 11.2 |
| 2011 | 1.3 | -0.1 | 1.8 | 0.4 | -1.4 | 1.1 | 0.5 | -0.7 | -4.5 | -1.4 | 0 | -0.3 | -3.2 |
| 2012 | 1.7 | 0.5 | 1 | 0.6 | -2.5 | 3.7 | 0.3 | 0.9 | 1 | 1.8 | 0.3 | 1.5 | 11.1 |
| 2013 | 0.5 | 0 | -0.9 | -1.1 | -1.8 | 0.1 | 1.6 | 0.7 | 1.7 | 0.4 | 0.8 | 0.8 | 2.9 |
| 2014 | -0.2 | -0.4 | 1.3 | 0.3 | -0.6 | 0.8 | 0.6 | 0 | -1.6 | 0.5 | -1.6 | 0.4 | -0.5 |
| 2015 | -2.1 | -0.2 | 1 | 0.6 | 0.1 | 0.5 | 0.4 | -3.2 | 0.5 | -0.2 | 1 | -0.3 | -1.9 |
| 2016 | -0.9 | 3.1 | -0.6 | -1 | -0.2 | 0.8 | 0.1 | 0.6 | 0.5 | -0.2 | -0.4 | -0.3 | 1.3 |
| 2017 | 0.2 | 1 | -0.5 | 0.3 | 0.9 | 0.4 | 0.6 | 0.5 | 1.1 | 0.9 | -0.7 | 0.4 | 5.2 |
| 2018 | -1.4 | -0.2 | 1.8 | -0.2 | 1.1 | 1.3 | -0.9 | 0.4 | -0.2 | 3.6 | 0.2 | -0.3 | 5.2 |
| 2019 | -0.7 | 0.3 | 1.4 | -0.4 | 0.1 | 1.4 | -2.1 | 0.3 | -0.6 | 1.4 | -1.7 | 0.3 | -0.2 |
| 2020 | -2.1 | 0.1 | -4.4 | -3.4 | 2.2 | 1 | -0.4 | 1.7 | 1.1 | -1.3 | 1.5 | -0.1 | -4.4 |
| 2021 | 3 | 2.8 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-08-15 50.1 SPY 130. 0.0049 0.0062 0.0397 -0.0876 -0.084 0.0513 0.311 GLD 77.6 -0.0217 -0.0805
2 2008-08-18 49 SPY 128. -0.0137 -0.0177 0.0191 -0.102 -0.113 0.0506 0.289 GLD 78.8 0.0151 -0.0287
3 2008-08-19 48.3 SPY 127. -0.0109 -0.0182 0.0075 -0.105 -0.122 0.0392 0.264 GLD 80.4 0.0207 -0.0011
4 2008-08-20 49.0 SPY 128. 0.0046 -0.0077 0.0008 -0.0854 -0.120 0.0441 0.265 GLD 80.1 -0.0046 -0.0184
5 2008-08-22 49.2 SPY 130. 0.0145 -0.004 0.033 -0.058 -0.115 0.0586 0.287 GLD 81.1 -0.0148 0.0444
6 2008-08-25 48.3 SPY 127. -0.0203 -0.0107 0.0123 -0.0839 -0.144 0.0391 0.273 GLD 80.9 -0.0019 0.027
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
